Stock Market Linkages in Emerging Asia-Pacific Markets:

SAGE Open

Srinivasan Palamalai¹ 

关键词: stock market integration;    cointegration;    vector error correction model;    variance decomposition analysis;   

DOI  :  10.1177/2158244013514060

学科分类：社会科学、人文和艺术（综合）

来源: Sage Journals

【 摘 要 】

This study examines the stock market integration among major stock markets of emerging Asia-Pacific economies, viz. India, Malaysia, Hong Kong, Singapore, South Korea, Taiwan, Japan, China, and Indonesia. The Johansen and Juselius multivariate cointegration test, Granger causality/Block exogeneity Wald test based on the vector error correction model (VECM) approach, and variance decomposition analysis were used to investigate the dynamic linkages between markets. Cointegration test confirmed a well-defined long-run equilibrium relationship among the major stock markets, implying that there exists a common force, such as arbitrage activity, which brings these stock markets together in the long run. The results of Granger causality/Block exogeneity Wald test based on VECM and variance decomposition analysis revealed the stock market interdependencies and dynamic interactions among the selected emerging Asia-Pacific economies. This result implies that investors can gain feasible benefits from international portfolio diversification in the short run. On the whole, the study results suggest that although long-term diversification benefits from exposure to these markets might be limited, short-run benefits might exist due to substantial transitory fluctuations.

【 授权许可】

CC BY